Notice that, when \(p\)  is equal to 1, the \(S_{MAL}\)  in (REF ) reduces to the AL log score of [1]}. When \(p>1\) , the loss function \(S_{MAL}\)  allows us blackto: (i) perform a joint assessment of the pairs (VaR, ES) specific to each asset and, at the same time, (ii) control for the existing correlation among returns.
